%0 Journal Article
%T One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
%A Mario Abundo
%J Mathematics
%D 2014
%I arXiv
%R 10.1080/07362994.2014.959595
%X We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion $X(t)$ reflected between two boundaries $a$ and $b,$ which starts from a random position $\eta.$ Let $a \le S \le b$ be a given threshold, such that $P( \eta \in [a,S])=1,$ and $F$ an assigned distribution function. The problem consists of finding the distribution of $\eta$ such that the first-hitting time of $X$ to $S$ has distribution $F.$ This is a generalization of the analogous problem for ordinary diffusions, i.e. without reflecting, previously considered by the author.
%U http://arxiv.org/abs/1405.5333v1